Euribor US Spread
In plain terms
Fear premium rich (VIX vs realized vol) -> buy intl index ETFs, hold 3-4 months.
How it works
Variance risk premium (option-implied minus realized variance) positively predicts equity-index returns, including non-US indexes, at a 2-4 month horizon.
Data dependencies
- Daily prices
Adjusted-close OHLCV for every US-listed ticker; primary price feed.
- Vix prices
A data feed this strategy reads, refreshed on its normal schedule.
Expected edge
- Reported return
- R2 peaks at 2-4mo horizon
- Tested over
- 2000-2011
Bollerslev et al. 2014 JFQA: significant predictability, R2 peaks at 2-4mo horizon.
Example tickers where this is likely to fire
Illustrative only, the signal fires based on the live data, not a fixed list.
Related families
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Explore Euribor US Spread on alphactor.ai
See which tickers this family is currently firing on, with live signals and rankings.